Ah ok so your talking about an OS(operating system). its not really a program so thats what through me off, i mean you could consider it one i guess, but not to get into that stuff lol.
Ok get your self a copy of Windows XP SP2, home edition would do you justice unless you need security then go with professional.
Depending on your cpu speed and amount of memory installed, and how fast your CD rom drive is. it can take you 20 min - 45 min to install windows XP.
Sounds like your on a first build so i wouldnt go with linux, cant play many games with it either. and linux isnt new user friendly, takes some learning to get the hang of it.
As far as your "everything" its very vague to tell us that. for better help is good to say, " i need to install and operating system, virus protection and firewall" or somthing to that effect. when you say "everything" you may need help setting up an FTP server and we would never know that. like snake eyes was saying to hit an .exe file which wouldnt apply to a windows install and we had no way of knowing that. just for future referance to better help ya.